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Avtomatika i Telemekhanika, 2005, Issue 7, Pages 126–143 (Mi at1405)  
This article is cited in 5 scientific papers (total in 5 papers)

Stochastic Systems

A two-step capital variation model: optimization by different statistical criteria

B. V. Vishnyakov, A. I. Kibzun

Moscow Aviation Institute
Full-text PDF (262 kB) Citations (5)
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Abstract: Minimization of the income function under a two-step capital investment in risk and safe securities is studied. Results obtained with quantile, averaged quantile, logarithmic, minimax criteria are compared. Optimal values of criteria are studied as a function of the confidence probability level. A method for choosing the admissible confidence probability level for quantile optimization is described.
Presented by the member of Editorial Board: B. T. Polyak

Received: 05.10.2004
English version:
Automation and Remote Control, 2005, Volume 66, Issue 7, Pages 1137–1152
DOI: https://doi.org/10.1007/s10513-005-0154-6
Bibliographic databases:
Document Type: Article
Language: Russian
Citation: B. V. Vishnyakov, A. I. Kibzun, “A two-step capital variation model: optimization by different statistical criteria”, Avtomat. i Telemekh., 2005, no. 7, 126–143; Autom. Remote Control, 66:7 (2005), 1137–1152
Citation in format AMSBIB
\Bibitem{VisKib05}
\by B.~V.~Vishnyakov, A.~I.~Kibzun
\paper A~two-step capital variation model: optimization by different statistical criteria
\jour Avtomat. i Telemekh.
\yr 2005
\issue 7
\pages 126--143
\mathnet{http://mi.mathnet.ru/at1405}
\mathscinet{http://mathscinet.ams.org/mathscinet-getitem?mr=2167837}
\zmath{https://zbmath.org/?q=an:1113.91028}
\transl
\jour Autom. Remote Control
\yr 2005
\vol 66
\issue 7
\pages 1137--1152
\crossref{https://doi.org/10.1007/s10513-005-0154-6}
\scopus{https://www.scopus.com/record/display.url?origin=inward&eid=2-s2.0-23744449390}
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  • https://www.mathnet.ru/eng/at/y2005/i7/p126
    • This publication is cited in the following 5 articles:
    Citing articles in Google Scholar: Russian citations, English citations
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    References:52
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